The Library
The hybrid Monte Carlo algorithm on Hilbert space
Tools
Stuart, A. M. (2010) The hybrid Monte Carlo algorithm on Hilbert space. In: Stochastic Partial Differential Equations (SPDEs) : Approximation, Asymtotics and Computation. , Cambridge, 28 Jun-02 Jul 2010 (Unpublished)
Research output not available from this repository.
Request-a-Copy directly from author or use local Library Get it For Me service.
Official URL: http://www.newton.ac.uk/programmes/SPD/spdw04p.htm...
Abstract
Hybrid Monte Carlo methods are a class of algorithms for sampling probability measures defined via a density with respect to Lebesgue measure. However, in many applications the probability measure of interest is on an infinite dimensional Hilbert space and is defined via a density with respect to a Gaussian measure. I will show how the Hybrid Monte Carlo methodology can be extended to this Hilbert space setting. A key building block is the study of measure preservation properties for certain semilinear partial differential equations of Hamiltonian type, and approximation of these equations by volume-preserving integrators. Joint work with A. Beskos (UCL), F. Pinski (Cincinnati) and J.-M. Sanz-Serna (Valladolid).
Item Type: | Conference Item (Paper) | ||||
---|---|---|---|---|---|
Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Mathematics | ||||
Official Date: | 30 June 2010 | ||||
Dates: |
|
||||
Status: | Not Peer Reviewed | ||||
Publication Status: | Unpublished | ||||
Version or Related Resource: | Stuart, A. M. (2010). The hybrid Monte Carlo algorithm on Hilbert space. In: Highly Oscillatory Problems : From Theory to Applications. Cambridge, 15 Sep 2010. | ||||
Conference Paper Type: | Paper | ||||
Title of Event: | Stochastic Partial Differential Equations (SPDEs) : Approximation, Asymtotics and Computation. | ||||
Type of Event: | Conference | ||||
Location of Event: | Cambridge | ||||
Date(s) of Event: | 28 Jun-02 Jul 2010 |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |